Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 1 1
Score -5.72 -6.35 -8.65
Market Cap (Millions USD) 62.38 54.74 55.46
Predicted Beta 0.3 0.31 0.32
Idiosyncratic Volatility 1.29 1.53 1.72

Annualized return and volatility

EWO
Annualized Return 0.0654
Annualized Std Dev 0.2633
Annualized Sharpe (Rf=0%) 0.2483

Row

Daily Return Statistics

EWO
Observations 5111.0000
NAs 2.0000
Minimum -0.1266
Quartile 1 -0.0071
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0087
Maximum 0.1642
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0166
Skewness -0.3257
Kurtosis 9.0829

Downside Risk

EWO
Semi Deviation 0.0122
Gain Deviation 0.0113
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0120
Downside Deviation (0%) 0.0120
Maximum Drawdown 0.7569
Historical VaR (95%) -0.0252
Historical ES (95%) -0.0405
Modified VaR (95%) -0.0253
Modified ES (95%) -0.0463
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.7569 3218 455 NA
2000-01-10 2000-10-25 2003-01-24 -0.2788 776 205 571
2006-05-08 2006-06-13 2006-11-29 -0.2359 146 26 120
2005-03-08 2005-05-13 2005-08-01 -0.1480 103 49 54
2005-09-12 2005-10-20 2005-12-13 -0.1089 67 30 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWO
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 -3.1 -1.6 0.0 -0.8 -3.1 0.0 0.0 1.6 0.0 0.0 0.0 0.0 -6.9
2001 3.8 -0.6 0.0 1.5 0.0 0.0 0.0 0.0 4.0 3.0 0.0 0.0 12.2
2002 0.0 0.4 0.8 0.7 0.0 0.5 -1.8 0.0 -0.7 1.0 0.0 0.0 1.0
2003 0.0 0.0 2.0 -0.1 0.0 2.2 -3.4 0.0 0.1 0.0 1.5 0.0 2.3
2004 0.0 0.9 1.5 0.0 -0.7 -0.5 0.0 -0.6 0.4 0.8 0.6 0.0 2.5
2005 1.4 -0.2 0.2 0.0 -0.1 0.0 2.5 1.4 0.0 -0.4 1.4 0.0 6.3
2006 0.3 0.4 0.0 -0.3 0.9 0.0 -0.1 1.3 0.0 -0.7 1.4 0.0 3.4
2007 0.4 -1.4 0.0 0.3 0.1 0.0 0.7 0.0 1.2 -2.6 0.0 0.0 -1.2
2008 1.2 0.0 2.8 1.1 0.0 -2.1 -1.3 0.0 -1.2 0.0 -6.3 0.0 -5.8
2009 0.0 0.0 2.4 0.6 2.4 1.9 0.0 -2.8 -3.4 0.0 3.2 0.0 4.2
2010 2.5 -0.2 1.6 0.0 -3.0 2.6 0.0 2.9 2.1 -1.2 4.9 0.0 12.6
2011 2.7 -1.8 1.0 0.0 -1.8 1.5 -1.3 -2.0 0.0 -5.5 -2.2 0.0 -9.2
2012 1.9 1.4 0.0 0.7 -2.4 0.0 -1.1 0.0 1.1 1.3 0.0 0.0 2.9
2013 0.9 0.2 -0.7 -0.8 0.0 1.2 2.2 0.0 0.9 -0.8 0.0 0.0 3.1
2014 0.0 0.0 1.5 0.1 0.0 0.1 -0.8 0.0 -0.6 0.0 -0.2 0.0 0.1
2015 0.0 0.0 1.5 1.0 -1.0 1.4 0.0 -2.0 0.5 0.0 1.5 0.0 3.0
2016 -0.6 2.3 0.4 0.0 -1.0 0.0 -1.6 1.7 0.0 -0.4 0.4 0.0 1.2
2017 1.4 2.0 0.0 0.4 1.0 0.0 0.4 0.3 0.0 0.1 0.1 0.0 5.9
2018 0.8 -0.6 0.0 -0.5 -0.1 0.0 -0.3 0.0 0.0 1.3 0.0 0.0 0.6
2019 0.3 0.7 1.8 -0.4 0.0 0.4 -1.2 0.0 -0.5 1.1 0.0 0.4 2.6

Row

Rolling Performance Chart

Snail Trail Chart